Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives

DOI10.1007/978-3-319-65313-6_9zbMATH Open1382.60064arXiv1702.03796OpenAlexW2597208348MaRDI QIDQ1703897FDOQ1703897

Authors: Alexandre Richard, Denis Talay 

Publication date: 8 March 2018

Abstract: We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability distributions of smooth functionals of the trajectories of the solutions ${X_t^H}_{tinmathbb{R}_{+}}$ and of the Laplace transform of the first passage time of $X^H$ at a given threshold. Our technique requires to extend already known Gaussian estimates on the density of $X_t^H$ to estimates with constants which are uniform w.r.t. $t$ in in the whole half-line $R_{+}-0$ and $H$ when $H$ tends to~$frac12$.

Full work available at URL: https://arxiv.org/abs/1702.03796

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zbMATH Keywords

Malliavin calculusfractional Brownian motionfirst hitting time

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)

Cited In (7)

• A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
• The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
• Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
• Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion

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